Modeling Traders’ Behavior with Deep Learning and Machine Learning Methods: Evidence from BIST 100 Index

Table 5

Results of rising direction orders.

		30M				1H				2H
th.		DNN	LOG	SVM	RND	1H	LOG	SVM	RND	DNN	LOG	SVM	RND
0	pre. %	59.3	54.81	53.3	53.47	54.76	52.26	58.52	48.27	51.93	51.4	50.56	51.45
	rec. %	70.29	77.98	59.39	56.58	67.43	86.01	47.02	49.77	73.53	70.23	53.67	56.98
	acc. %	58.7	58.4	56.33	55.93	57.02	57.87	58.37	56	52.42	51.81	50.34	50.94
	f1 %	64.33	64.37	56.18	54.98	60.44	65.01	52.15	49.01	60.88	59.35	52.07	54.08
	ret. %	0.15	0.13	0.13	0.13	0.2	0.2	0.2	0.19	0.22	0.22	0.22	0.22
	mdd. %	2.6	3.44	4.47	6.04	3.51	2.11	1.54	3.58	7.93	7.95	8.09	11.77
	cmp.	3.34	3.43	1.98	1.76	2.05	1.69	1.33	1.42	1.22	1.22	1.02	1.18
0.1	pre. %	60.35	55.26	51.26	50.57	62.22	64.04	68.33	44.55	46.33	51.56	45.11	46.34
	rec. %	68.57	83.42	72.95	55.72	72.8	56.44	33.61	49.51	38.61	77.94	49.1	54.02
	acc. %	61.5	61.01	59.8	59.43	60.75	62.7	62.64	59.6	54.49	56.3	50.64	52.72
	f1 %	64.2	66.48	60.21	53.02	67.1	60	45.05	46.9	42.12	62.06	47.02	49.89
	ret. %	0.19	0.16	0.15	0.15	0.26	0.24	0.23	0.22	0.37	0.26	0.26	0.24
	mdd. %	2.58	1.87	3.79	2.74	1.46	0.96	0.96	2.97	4.35	5.15	6.74	5.2
	cmp.	2.35	2.28	2.09	2.07	1.66	1.11	1.07	1.56	1.12	1.41	1.2	1.13
0.2	pre. %	53.95	56.59	45.53	45.63	57.38	60.99	60	43.91	52.42	51.67	38.74	41.63
	rec. %	64.23	73.67	59.66	49.6	69.44	83.5	11.88	44.93	34.57	75	40.45	47.18
	acc. %	64.63	64.9	62.67	62.69	64.07	67.26	66.74	64.7	62.19	62.23	52.94	57.4
	f1 %	58.64	64.01	51.65	47.53	62.84	70.49	19.83	44.42	41.67	61.19	39.58	44.23
	ret. %	0.24	0.21	0.19	0.17	0.29	0.27	0.24	0.24	0.45	0.39	0.29	0.28
	mdd. %	2.58	1.95	2.9	2.67	1.42	1.15	0.96	3.43	2.79	5.27	7.82	4.51
	cmp.	1.65	1.56	1.86	1.7	1.35	1.19	1.02	1.53	1.13	1.18	1.07	1.15
0.3	pre. %	52.15	56.33	39.93	41.86	57.06	60.58	54.55	39.76	61.54	49.02	32.75	36.08
	rec. %	58.82	63.57	71.79	47.44	64.74	78.75	12.5	41.62	17.78	58.14	51.98	44.07
	acc. %	69.28	69.34	65.08	67.22	68.4	71.56	71.15	68.84	67.55	67.4	55.43	62.45
	f1 %	55.28	59.73	51.31	44.48	60.66	68.48	20.34	40.67	27.59	53.19	40.19	39.68
	ret. %	0.27	0.27	0.19	0.19	0.34	0.28	0.23	0.26	0.62	0.6	0.32	0.34
	mdd. %	2.58	1.35	4.33	1.58	0.96	1.23	1	3.5	0.82	4	8.59	5.82
	cmp.	1.37	1.2	1.66	1.53	1.22	1.14	1	1.25	1.04	1.05	1.01	1.12
0.4	pre. %	49.76	55	40.42	38.92	59.02	58.82	57.14	40.28	64.29	42.11	29.02	30.48
	rec. %	55.85	79.08	66.48	43.16	63.72	58.82	5.63	41.29	69.23	44.44	33.59	36.64
	acc. %	73.39	73.63	70.44	71.47	72.77	75.6	75.51	73.64	71.77	71.51	57.55	66.45
	f1 %	52.63	64.88	50.27	40.93	61.28	58.82	10.26	40.78	66.67	43.24	31.14	33.28
	ret. %	0.29	0.26	0.22	0.21	0.35	0.36	0.23	0.29	0.52	0.55	0.35	0.38
	mdd. %	2.58	2.1	2.95	4.18	1.23	1.04	0.94	3.57	0.61	1.81	9.87	7.63
	cmp.	1.21	1.25	1.91	1.31	1.07	1.06	1	1.33	1.04	1	1.12	1.08
0.5	pre. %	48.06	52.13	38.26	37.13	52.78	51.28	33.33	34.69	50	40	24	31.91
	rec. %	49.21	80.33	47.34	38.79	55.07	60.61	1.89	39.14	66.67	40	26.8	35.55
	acc. %	77	77.13	74.48	75.61	76	78.53	78.49	76.49	75.7	75.62	62.94	72.49
	f1 %	48.63	63.23	42.32	37.94	53.9	55.56	3.57	36.79	57.14	40	25.32	33.63
	ret. %	0.33	0.3	0.25	0.24	0.4	0.38	0.23	0.36	0.53	0.74	0.39	0.43
	mdd. %	2.69	2.1	3.67	2.09	1.59	1.09	0.9	3.03	0.43	1.15	10.83	1.77
	cmp.	1.12	1.24	1.61	1.31	1.05	1.06	1.01	1.24	1.02	1.01	1.05	1.13